Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1719
Annualized Std Dev 0.7422
Annualized Sharpe (Rf=0%) -0.2316

Row

Daily Return Statistics

Close
Observations 3098.0000
NAs 1.0000
Minimum -0.4292
Quartile 1 -0.0224
Median -0.0008
Arithmetic Mean 0.0003
Geometric Mean -0.0007
Quartile 3 0.0220
Maximum 0.5224
SE Mean 0.0008
LCL Mean (0.95) -0.0013
UCL Mean (0.95) 0.0020
Variance 0.0022
Stdev 0.0468
Skewness 0.4978
Kurtosis 16.0195

Downside Risk

Close
Semi Deviation 0.0322
Gain Deviation 0.0361
Loss Deviation 0.0330
Downside Deviation (MAR=210%) 0.0364
Downside Deviation (Rf=0%) 0.0321
Downside Deviation (0%) 0.0321
Maximum Drawdown 0.9574
Historical VaR (95%) -0.0656
Historical ES (95%) -0.1047
Modified VaR (95%) -0.0546
Modified ES (95%) -0.0546
From Trough To Depth Length To Trough Recovery
2009-02-19 2021-03-11 NA -0.9574 3043 3036 NA
2008-12-26 2009-01-06 2009-02-13 -0.4772 34 7 27
2008-12-08 2008-12-11 2008-12-22 -0.2624 11 4 7
2008-11-26 2008-11-26 2008-12-01 -0.1536 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA 9.3 -19.6 -12.2
2009 -0.8 1.7 3 -7.9 -5.7 3 -7.3 4.3 0.1 7.3 -2.4 -0.4 -6.2
2010 -5.8 2.3 -4.5 -2.2 5.3 6.5 -1.4 -5.5 -4.5 -3.5 -6.1 -4.1 -22
2011 2.9 -6.4 -2.7 -1.5 4.8 0.3 1.2 0.2 9.5 3 0.8 1.3 13.3
2012 2.3 -4 0.2 -2.2 7.3 -16.4 -2.8 -3.4 -0.7 -1.8 -2.4 -1.8 -24.1
2013 -0.2 2 0.3 4.4 3.7 -2.9 -4.9 0.3 1.1 3.1 -1.7 1.2 6.1
2014 0.9 -0.5 4.1 1 1.2 -0.1 0.8 -2.2 1.4 0.5 -7 -0.8 -0.9
2015 -14.4 -2.5 -9 0.5 -0.4 7.5 6.4 13.3 1.5 -2.9 -0.2 -1.7 -4.6
2016 13.8 -2.7 7.8 -1.2 -1 -3.2 7.1 5.5 -1.4 -0.9 -6.9 0.1 16
2017 -2.8 0.8 -1.3 1.4 0.8 -5.7 4 -0.7 0 0.4 -3.5 -0.7 -7.4
2018 -3.8 0.2 -0.8 2.7 4.6 -2.4 2.7 0.4 -5.6 4.9 2.5 -3.1 1.5
2019 -5 4.9 -5 0.9 11.7 -3.7 11.2 5.4 2.6 -7.3 8.5 1.6 26.4
2020 4.5 6.3 -7.3 4.7 -2.7 -2.2 -1.1 -0.9 5.1 1.7 2.3 -0.5 9.6
2021 -5.1 3.6 -5.3 NA NA NA NA NA NA NA NA NA -6.9

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart